Add first draft of "dollar volume" fsp

windows_testing_volume
Tyler Goodlet 2021-09-28 16:39:11 -04:00
parent dde8697f71
commit 4057209900
1 changed files with 58 additions and 7 deletions

View File

@ -14,16 +14,20 @@
# You should have received a copy of the GNU Affero General Public License
# along with this program. If not, see <https://www.gnu.org/licenses/>.
from typing import AsyncIterator, Optional
from typing import AsyncIterator, Optional, Union
import numpy as np
from tractor._broadcast import AsyncReceiver
from ..data._normalize import iterticks
from ..data._sharedmem import ShmArray
def wap(
signal: np.ndarray,
weights: np.ndarray,
) -> np.ndarray:
"""Weighted average price from signal and weights.
@ -47,15 +51,22 @@ def wap(
async def _tina_vwap(
source, #: AsyncStream[np.ndarray],
ohlcv: np.ndarray, # price time-frame "aware"
source: AsyncReceiver[dict],
ohlcv: ShmArray, # OHLC sampled history
# TODO: anchor logic (eg. to session start)
anchors: Optional[np.ndarray] = None,
) -> AsyncIterator[np.ndarray]: # maybe something like like FspStream?
"""Streaming volume weighted moving average.
) -> Union[
AsyncIterator[np.ndarray],
float
]:
'''Streaming volume weighted moving average.
Calling this "tina" for now since we're using HLC3 instead of tick.
"""
'''
if anchors is None:
# TODO:
# anchor to session start of data if possible
@ -75,7 +86,6 @@ async def _tina_vwap(
# vwap_tot = h_vwap[-1]
async for quote in source:
for tick in iterticks(quote, types=['trade']):
# c, h, l, v = ohlcv.array[-1][
@ -91,3 +101,44 @@ async def _tina_vwap(
# yield ((((o + h + l) / 3) * v) weights_tot) / v_tot
yield w_tot / v_tot
async def dolla_vlm(
source: AsyncReceiver[dict],
ohlcv: ShmArray, # OHLC sampled history
) -> Union[
AsyncIterator[np.ndarray],
float
]:
a = ohlcv.array
chl3 = (a['close'] + a['high'] + a['low']) / 3
v = a['volume']
# history
yield chl3 * v
i = ohlcv.index
lvlm = 0
async for quote in source:
for tick in iterticks(quote):
# this computes tick-by-tick weightings from here forward
size = tick['size']
price = tick['price']
li = ohlcv.index
if li > i:
i = li
lvlm = 0
c, h, l, v = ohlcv.last()[
['close', 'high', 'low', 'volume']
]
lvlm += price * size
tina_lvlm = c+h+l/3 * v
# print(f' tinal vlm: {tina_lvlm}')
yield lvlm